net.finmath.time

Class ScheduleMetaData

java.lang.Object

net.finmath.time.ScheduleMetaData

All Implemented Interfaces:

Serializable

public class ScheduleMetaData
extends Object
implements Serializable

Class to store any relevant information to generate schedules, which have different period structure but otherwise follow the same conventions.

Author:

Christian Fries, Roland Bachl

See Also:

Serialized Form

Constructor Summary

Constructors

Constructor and Description
ScheduleMetaData(ScheduleGenerator.Frequency frequency, ScheduleGenerator.DaycountConvention daycountConvention, ScheduleGenerator.ShortPeriodConvention shortPeriodConvention, BusinessdayCalendar.DateRollConvention dateRollConvention, BusinessdayCalendar businessdayCalendar, int fixingOffsetDays, int paymentOffsetDays, boolean isUseEndOfMonth) Construct the ScheduleMetaData.

Method Summary

Modifier and Type	Method and Description
Schedule	generateSchedule(LocalDate referenceDate, int maturity, int termination) Generate a schedule with start / end date determined by an offset in months from the reference date.
Schedule	generateSchedule(LocalDate referenceDate, int maturity, int termination, net.finmath.time.ScheduleMetaData.OffsetUnit unit) Generate a schedule with start / end date determined by an offset from the reference date.
Schedule	generateSchedule(LocalDate referenceDate, LocalDate startDate, LocalDate endDate) Generate a schedule for the given start and end date.
ScheduleDescriptor	generateScheduleDescriptor(LocalDate startDate, LocalDate endDate) Generate a schedule descriptor for the given start and end date.
BusinessdayCalendar	getBusinessdayCalendar()
BusinessdayCalendar.DateRollConvention	getDateRollConvention()
ScheduleGenerator.DaycountConvention	getDaycountConvention()
int	getFixingOffsetDays()
ScheduleGenerator.Frequency	getFrequency()
static String	getOffsetCodeFromCurveName(String curveName) Determines the offset code of a forward contract from the name of a forward curve.
static String	getOffsetCodeFromSchedule(Schedule schedule) Determines the offset code of a forward contract from a schedule.
int	getPaymentOffsetDays()
ScheduleGenerator.ShortPeriodConvention	getShortPeriodConvention()
boolean	isUseEndOfMonth()

Methods inherited from class java.lang.Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Constructor Detail

ScheduleMetaData

public ScheduleMetaData(ScheduleGenerator.Frequency frequency,
                        ScheduleGenerator.DaycountConvention daycountConvention,
                        ScheduleGenerator.ShortPeriodConvention shortPeriodConvention,
                        BusinessdayCalendar.DateRollConvention dateRollConvention,
                        BusinessdayCalendar businessdayCalendar,
                        int fixingOffsetDays,
                        int paymentOffsetDays,
                        boolean isUseEndOfMonth)

Construct the ScheduleMetaData.

Parameters:

frequency - The default frequency.

daycountConvention - The daycount convention.

shortPeriodConvention - If short period exists, have it first or last.

dateRollConvention - Adjustment to be applied to the all dates.

businessdayCalendar - Businessday calendar (holiday calendar) to be used for date roll adjustment.

fixingOffsetDays - Number of business days to be added to period start to get the fixing date.

paymentOffsetDays - Number of business days to be added to period end to get the payment date.

isUseEndOfMonth - If ShortPeriodConvention is LAST and startDate is an end of month date, all period will be adjusted to EOM. If ShortPeriodConvention is FIRST and maturityDate is an end of month date, all period will be adjusted to EOM.

Method Detail

getOffsetCodeFromSchedule

public static String getOffsetCodeFromSchedule(Schedule schedule)

Determines the offset code of a forward contract from a schedule. Rounds the average period length to full months.

Parameters:

schedule - The schedule.

Returns:

The offset code as String

getOffsetCodeFromCurveName

public static String getOffsetCodeFromCurveName(String curveName)

Determines the offset code of a forward contract from the name of a forward curve. This method will extract a group of one or more digits together with the first letter behind them, if any. If there are multiple groups of digits in the name, this method will extract the last. If there is no number in the string, this method will return null.

Parameters:

curveName - The name of the curve.

Returns:

The offset code as String

generateScheduleDescriptor

public ScheduleDescriptor generateScheduleDescriptor(LocalDate startDate,
                                                     LocalDate endDate)

Generate a schedule descriptor for the given start and end date.

Parameters:

startDate - The start date.

endDate - The end date.

Returns:

The schedule descriptor

generateSchedule

public Schedule generateSchedule(LocalDate referenceDate,
                                 LocalDate startDate,
                                 LocalDate endDate)

Generate a schedule for the given start and end date.

Parameters:

referenceDate - The reference date (corresponds to \( t = 0 \).

startDate - The start date.

endDate - The end date.

Returns:

The schedule

generateSchedule

public Schedule generateSchedule(LocalDate referenceDate,
                                 int maturity,
                                 int termination)

Generate a schedule with start / end date determined by an offset in months from the reference date.

Parameters:

referenceDate - The reference date (corresponds to \( t = 0 \).

maturity - Offset of the start date to the reference date in months

termination - Offset of the end date to the reference date in months

Returns:

The schedule

generateSchedule

public Schedule generateSchedule(LocalDate referenceDate,
                                 int maturity,
                                 int termination,
                                 net.finmath.time.ScheduleMetaData.OffsetUnit unit)

Generate a schedule with start / end date determined by an offset from the reference date.

Parameters:

referenceDate - The reference date (corresponds to \( t = 0 \).

maturity - Offset of the start date to the reference date

termination - Offset of the end date to the reference date

unit - The convention to use for the offset

Returns:

The schedule

getFrequency

public ScheduleGenerator.Frequency getFrequency()

Returns:

the frequency

getDaycountConvention

public ScheduleGenerator.DaycountConvention getDaycountConvention()

Returns:

the daycountConvention

getShortPeriodConvention

public ScheduleGenerator.ShortPeriodConvention getShortPeriodConvention()

Returns:

the shortPeriodConvention

getDateRollConvention

public BusinessdayCalendar.DateRollConvention getDateRollConvention()

Returns:

the dateRollConvention

getBusinessdayCalendar

public BusinessdayCalendar getBusinessdayCalendar()

Returns:

the businessdayCalendar

getFixingOffsetDays

public int getFixingOffsetDays()

Returns:

the fixingOffsetDays

getPaymentOffsetDays

public int getPaymentOffsetDays()

Returns:

the paymentOffsetDays

isUseEndOfMonth

public boolean isUseEndOfMonth()

Returns:

the isUseEndOfMonth